[Quantlib-dev] FX Functions Code Contribution

[Dima <dim...@go...>]

I discussed it ages ago, but its finally finished. I've uploaded new
QuantLib code on www.longvega.com/FxFunctions.zip. The functions
include:

- a delta calculator class for various, fx specific deltas
- a delta vol quote class

3 Smile Sections:
- the vanna volga interpolations
- a parabolic interpolation, which interpolates parabolically in moneyness
- a new parabolic formula (a generalization of a so called Malz formula)

Added some test cases too. I'd be happy to see it somewhere in the trunk
soon,
so I can use it withing QuantLib. Thanks